Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0910
Annualized Std Dev 0.2304
Annualized Sharpe (Rf=0%) 0.3947

Row

Daily Return Statistics

Close
Observations 4313.0000
NAs 1.0000
Minimum -0.1308
Quartile 1 -0.0057
Median 0.0012
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0075
Maximum 0.1018
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0145
Skewness -0.4877
Kurtosis 8.8217

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0099
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6102
Historical VaR (95%) -0.0219
Historical ES (95%) -0.0350
Modified VaR (95%) -0.0228
Modified ES (95%) -0.0459
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2011-02-11 -0.6102 904 416 488
2020-02-21 2020-03-23 2020-11-09 -0.4225 183 22 161
2011-05-02 2011-10-03 2012-09-13 -0.2830 347 108 239
2018-08-30 2018-12-24 2019-12-19 -0.2527 329 80 249
2015-06-24 2016-02-11 2016-11-17 -0.2444 356 161 195

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 1 0.6 -1.3 0.5 -1.2 0.3 1.5 2.1 0.5 1.5 0.3 5.7
2005 0.5 0.7 -0.1 0.5 0.7 0.8 0.4 0.8 0.4 0.4 1.7 -0.7 6.3
2006 0.5 1.3 0.1 -0.8 1.8 0.4 -1.1 0.3 -0.9 -1.5 -0.3 -1 -1.1
2007 1 -0.4 0.1 0.2 0.8 -0.3 0.5 1.5 1.9 -3.3 0.5 -0.3 2.2
2008 2.8 -2.6 3.4 1.9 0.2 -0.1 0.3 -1 -1.7 4.2 -11.6 3 -2.2
2009 -2 -0.9 2.5 0.8 2.1 2 0 -2.3 -3.3 -3 1.8 -1.3 -3.7
2010 1.5 2.2 0.9 -2.7 -3.1 -0.5 0 3.7 0.5 -0.4 2.2 -0.6 3.5
2011 2 -1.8 0.4 0.5 -2.9 1.6 -0.5 -1.9 -2.9 -3.3 -0.7 -0.4 -9.6
2012 2.1 0.7 0 0.2 -3.1 3 -1.3 0.4 0.1 1.5 0 2 5.4
2013 0.9 0.1 -1 -1.9 -0.9 1.5 1.6 -1.4 1.4 -0.1 -0.1 0.3 0.2
2014 -0.6 -0.2 1 0.2 -0.3 0.8 -0.3 0.6 -1.4 1.4 -1.5 -0.8 -1.2
2015 -1.5 -0.4 -0.5 0.8 0.2 0.3 0.4 -2.7 -0.1 -0.3 0.7 -1 -3.9
2016 -0.1 2.1 0.2 -0.7 0.6 0.3 -0.1 0 0.8 -1.1 -0.4 -0.4 1.2
2017 -0.2 1.6 0.2 0.4 1.6 0.1 0.2 0.4 0.2 -0.4 -0.2 -0.6 3.4
2018 0.2 -0.4 1.2 0.3 0.7 0 0 0.3 -1 1.9 0.6 0.9 4.9
2019 0.4 0.9 1.2 -1 -1 0.5 -1.5 0 -1.7 1.5 -0.8 0.2 -1.3
2020 -1.9 -1.1 -6.1 -3.5 1.4 -0.3 -0.6 1.2 1.4 -0.8 1 -0.1 -9.4
2021 2.1 3 0.6 NA NA NA NA NA NA NA NA NA 5.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  49   SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  49.2 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  49.1 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  48.0 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  48.2 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  49.4 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart